Hello Becky,
Thanks for reaching out with your question.
Filtering by state is unfortunately not possible with the Events Calendar Pro plugin, so the way forward would be using categories. The url structure for the “California” category would be this:
http://www.domain.com/events/category/california/
Of course you can use any slug for the categories, based on your needs.
Regarding the AJAX call, that might be possible but would require some custom development, which we are very limited in supporting. However, I can share with you a list of developers from the community who could help you out with customization requests like this:
list of freelancers
I hope this helps you move forward. Let me know if you have any further questions regarding this topic.
Cheers,
Andras